Search: VAR models

Sort by: Relevance Date
21–30 of 1,875 search results for VAR models

RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

Oil Price Shocks, Monetary Policy and Stagflation

10 May 2010 Conferences PDF 329KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/kilian.pdf

VAR Estimation Results

1 Jun 1989 RDP 8903
Glenn Stevens and Susan Thorp
The two sets of results are discussed in turn. Each VAR model includes four lags of each variable. ... M1 leads nominal GDP in the 1978–88 period. Table 2 shows results for three-variable VARs, where the bill rate is included in every model.
https://www.rba.gov.au/publications/rdp/1989/8903/var-estimation-results.html
See 9 more results from "RDP 8903"

The VAR Methodology

1 Jul 1986 RDP 8608
Robert G. Trevor and Stephen G. Donald
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8608/var-methodology.html
See 10 more results from "RDP 8608"

Identification and Inference under Narrative Restrictions

20 Oct 2023 RDP PDF 1128KB
The initial conditions. (y1p,. ,y0) are given. The reduced-form VAR(p) representation is. ... the likelihood of the reduced-form VAR), whichdepends only on ϕϕϕ and the data.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-07.pdf

General Discussion of Decomposing Supply and Demand Driven Inflation

23 Nov 2023 Conferences PDF 90KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-general-discussion.pdf

A Small BVAR-DSGE Model for Forecasting the Australian Economy

23 Sep 2008 RDP 2008-04
Andrew Hodge, Tim Robinson and Robyn Stuart
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-04.html
See 13 more results from "RDP 2008-04"

Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions

29 Dec 2022 RDP PDF 1886KB
known problems with conducting Bayesian inference in set-identified models; in particular, a. ... 3.1 Specification of reduced-form VAR. The model includes a domestic block and a foreign block.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-09.pdf

DSGE Reno: Adding a Housing Block to a Small Open Economy Model

1 Apr 2018 RDP 2018-04
Christopher G Gibbs, Jonathan Hambur and Gabriela Nodari
Structural VARS:. The code to estimate the structural VAR models and reproduce Figure 12 can be found in the ‘SVAR’ directory. ... Existing results are stored in VAR_model_1, VAR_model_2, VAR_model_3 and VAR_model_4. Bayesian IRFs:.
https://www.rba.gov.au/publications/rdp/2018/2018-04/read-me.html
See 15 more results from "RDP 2018-04"

The Structural VAR

31 Dec 2001 RDP 2001-01
John Simon
The VAR methodology specifically allows the data to suggest the best model. ... If, for example, we have estimated a VAR(3) model, the long-run cumulative effect of an innovation in u.
https://www.rba.gov.au/publications/rdp/2001/2001-01/structural-var.html
See 8 more results from "RDP 2001-01"

Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data

13 Feb 2024 RDP PDF 1260KB
Using. a vector autoregression (VAR) model, they find that contractionary monetary policy lowers innovative. ... In part,. this appears to reflect our use of a local projection model instead of a VAR.
https://www.rba.gov.au/publications/rdp/2024/pdf/rdp2024-01.pdf